Window Dressing by Pension Fund Managers, Issue 3617
National Bureau of Economic Research, 1991 - Pension trusts - 14 pages
This paper takes a first look at investment strategies of managers of 769 pension funds, with total assets of $129 billion at the end of 1989. The data show that managers of these funds tend to oversell stocks that have performed poorly. Relative sales of losers accelerate in the fourth quarter, when funds' portfolios are closely examined by the sponsors. This result supports the view that fund managers "window dress" their portfolios to impress sponsors and suggests that managers are evaluated on their individual stock selections and not just aggregate portfolio performance.
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20 percent 769 pension funds aggregate fund Andrei Shxeifer availability of stocks average over funds average over quarters average quarter Bureau of Economic buy losers BUY(ij,k compute contrarian cross-sectional standard errors CRSP universe DRESSING BY PENSION Economic Research end of quarter Equity Holdings extreme losers extreme winners forms of window fourth quarter fund buys fund evaluations Funds by Quarter funds hold Holding in Quintile losers and sell losers ratio losers relative managers window dress market capitalization Massachusecs million money managers National Bureau oversell PENSION FUND MANAGERS Percent of Total performance categories performance group previous quarter purchases and sales purchases of losers quarter j prices quarters 1-3 Quintile as Percent relative to holdings rid of mistakes Robert Vishny s^oejja sale of losers sale of winners sales and purchases sales relative sample of 769 sell losers small funds sxapcw t-test Table UNIV.HOLD(ij universe holdings uo sa^ON aircpai